Comparar métodos

	BEKK-GARCH: Modelagem da Volatilidade Condicional Multivariada	DCC-GARCH (Correlação Condicional Dinâmica)	Modelo de Vetores Autorregressivos (VAR)
Área	Econometria	Finanças	Econometria
Família	Regression model	Regression model	Regression model
Ano de origem	1995	2002	2005
Autor original	Robert Engle & Kenneth Kroner	Robert F. Engle	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Tipo	Multivariate conditional volatility model	Multivariate volatility model	Multivariate time-series model
Fonte seminal	Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150.	Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Outros nomes	BEKK Model, Baba-Engle-Kraft-Kroner GARCH, Multivariate BEKK, BEKK-ÇARCH Modeli	dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Relacionados	3	5	4
Resumo	BEKK-GARCH, proposed by Engle and Kroner (1995), is a multivariate GARCH specification that models the time-varying conditional covariance matrix of a system of financial return series. Named after Baba, Engle, Kraft, and Kroner, it is the dominant framework for quantifying volatility spillovers and dynamic correlations across multiple assets or markets simultaneously, widely adopted by financial economists and risk managers since the mid-1990s.	DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated in a second, separate step.	Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005).